275 lines
9.2 KiB
Go
275 lines
9.2 KiB
Go
package trade
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import (
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"context"
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"fmt"
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"log"
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"math"
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"git.apinb.com/bsm-sdk/core/utils"
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"git.apinb.com/quant/strategy/internal/impl"
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"git.apinb.com/quant/strategy/internal/models"
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"github.com/adshao/go-binance/v2/futures"
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)
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const (
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OrderSide_Long string = "BUY"
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OrderSide_Short string = "SELL"
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)
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func (bn *BinanceClient) AppendOrder(symbol string, side string, quantity string) {
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// 判断：开仓锁，开仓信号
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if IsLock(symbol, "OPEN."+side) {
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Error("103", "判断：开仓锁，开仓信号")
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return
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}
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var res *futures.CreateOrderResponse
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var err error
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// 做多
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if side == "LONG" {
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bid, _, err := bn.BookTicker(symbol)
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if err != nil {
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Error("113", "BookTicker", err.Error())
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return
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}
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res, err = bn.CreateFuturesLimitOrder(
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symbol,
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quantity,
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"BUY",
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bid,
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futures.PositionSideTypeLong,
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)
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}
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if side == "SHORT" {
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_, ask, err := bn.BookTicker(symbol)
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if err != nil {
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Error("113", "BookTicker", err.Error())
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return
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}
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res, err = bn.CreateFuturesLimitOrder(
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symbol,
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quantity,
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"SELL",
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ask,
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futures.PositionSideTypeShort,
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)
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}
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if err != nil {
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Error("104", "CreateFuturesOrder_Limit_Binance", err.Error())
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return
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}
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if res != nil {
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Debug("Order Result", utils.Int642String(res.OrderID))
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SetLock(symbol, "OPEN."+side, 3)
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}
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}
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// CreateOrder 创建订单
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// symbol: 交易对
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// side: 买卖方向: BUY 做多 / SELL 做空
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// positionSide: 持仓方向: LONG 多仓 / SHORT 空仓
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// quantity: 数量
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// orderType: 订单类型:LIMIT, MARKET
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func (bn *BinanceClient) CreateFuturesMarketOrder(symbol, quantity, side string, positionSide futures.PositionSideType) (res *futures.CreateOrderResponse, err error) {
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if IsLock(symbol, "OPEN."+side) {
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return nil, fmt.Errorf("symbol %s side %s is lock", symbol, side)
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}
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srv := bn.Futures.NewCreateOrderService().Symbol(symbol).Side(futures.SideType(side)).PositionSide(positionSide).Quantity(quantity).Type(futures.OrderTypeMarket)
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result, err := srv.Do(context.Background())
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if err != nil {
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Error("120", "CreateOrder:", err.Error())
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return nil, err
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}
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SetLock(symbol, "OPEN."+side, 3)
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Info("[SUCCESS] Create Order, OrderID:", utils.Int642String(result.OrderID))
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return result, nil
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}
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// CreateOrder 创建订单
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// symbol: 交易对
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// side: 买卖方向: BUY 做多 / SELL 做空
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// positionSide: 持仓方向: LONG 多仓 / SHORT 空仓
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// quantity: 数量
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// orderType: 订单类型:LIMIT, MARKET
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func (bn *BinanceClient) CreateFuturesLimitOrder(symbol, quantity, side, price string, positionSide futures.PositionSideType) (res *futures.CreateOrderResponse, err error) {
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if IsLock(symbol, "OPEN."+side) {
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return nil, fmt.Errorf("symbol %s side %s is lock", symbol, side)
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}
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srv := bn.Futures.NewCreateOrderService().Symbol(symbol).Side(futures.SideType(side)).PositionSide(positionSide).Quantity(quantity).Type(futures.OrderTypeLimit).Price(price).TimeInForce(futures.TimeInForceTypeGTX)
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extra := map[string]any{
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// "priceMatch": "OPPONENT_5",
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}
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result, err := srv.Do(context.Background(), futures.WithExtraForm(extra))
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if err != nil {
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Error("120", "CreateOrder:", err.Error())
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return nil, err
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}
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SetLock(symbol, "OPEN."+side, 3)
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Info("[SUCCESS] Create Order, OrderID:", utils.Int642String(result.OrderID))
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return result, nil
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}
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func (bn *BinanceClient) CloseFuturesMarketOrder(symbol, orderType, quantity string, positionSide futures.PositionSideType) (res *futures.CreateOrderResponse, err error) {
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Debug("CloseFuturesOrder_Binance", symbol, orderType, quantity, string(positionSide))
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var side string
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if positionSide == futures.PositionSideTypeLong {
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side = OrderSide_Short
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} else {
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side = OrderSide_Long
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}
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result, err := bn.Futures.NewCreateOrderService().Symbol(symbol).Side(futures.SideType(side)).PositionSide(positionSide).Type(futures.OrderType(orderType)).Quantity(quantity).Do(context.Background())
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if err != nil {
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Error("121", "CloseOrder:", err.Error())
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return nil, err
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}
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// 锁定仓位
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SetLock(symbol, "CLOSE."+string(positionSide), 3)
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Info("[SUCCESS] Close Order, OrderID:", utils.Int642String(result.OrderID))
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return res, nil
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}
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func (bn *BinanceClient) CloseFuturesLimitOrder(symbol, quantity, price string, positionSide futures.PositionSideType) (res *futures.CreateOrderResponse, err error) {
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Debug("CloseFuturesOrder_Limit_Binance", symbol, string(positionSide), price, quantity)
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var side string
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if positionSide == futures.PositionSideTypeLong {
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side = OrderSide_Short
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} else {
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side = OrderSide_Long
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}
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result, err := bn.Futures.NewCreateOrderService().Symbol(symbol).Side(futures.SideType(side)).PositionSide(positionSide).Quantity(quantity).Type(futures.OrderTypeLimit).Price(price).TimeInForce(futures.TimeInForceTypeGTX).Do(context.Background())
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if err != nil {
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Error("121", "CloseOrder:", err.Error())
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return nil, err
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}
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Info("[SUCCESS] Close Order, OrderID:", utils.Int642String(result.OrderID))
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return res, nil
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}
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func (bn *BinanceClient) QuickMarketClose(PlanKeyName, symbol string, side string) {
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Debug(PlanKeyName, "Quick closeing")
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orders, _ := GetPositions(PlanKeyName, symbol)
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if len(orders) == 0 {
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return
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}
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volume := utils.Float64ToString(orders[0].Volume)
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bn.CloseFuturesMarketOrder(symbol, "MARKET", volume, futures.PositionSideType(side))
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SetLock(symbol, "CLOSE."+side, 5)
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//content := fmt.Sprintf("快速平仓 %s %s Volume:%s", symbol, side, volume)
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//models.WriteSimpleLog(models.LogType_Close, p.Strategy.KeyName, content)
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}
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// 网格动态平仓
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func (bn *BinanceClient) Dynamic(p *Spec, symbol string, currentPrice float64, orders []*models.QuantOrders, closeingProfitRate, qty float64) {
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// 最小持仓保证金
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equity := AccountsAssets.Get("USDT").AccountEquity
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newMargin := utils.FloatRound(equity*p.StrategyConf.MarginMultipleByBalance, 1)
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if newMargin < p.StrategyConf.Margin {
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newMargin = p.StrategyConf.Margin
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}
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// 最大保证金：账户保证金 * 0.2（20%） / 交易币对数 = 最大持仓保证金
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newMaxMargin := math.Ceil(equity * 0.2 / float64(len(p.AllowSymbols)))
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// 设置止盈率
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for _, row := range orders {
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// 计算利润，计算回报率
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profit, profitRate := calProfitRate_V2(symbol, row.Side, float64(p.StrategyConf.Leverage), row.OpenPrice, currentPrice, row.Volume)
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profit = utils.FloatRound(profit, 3)
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profitRate = utils.FloatRound(profitRate, 3)
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// 开仓保证金计算
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if qty <= 0 {
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qty = QtyBalByFloat(
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currentPrice,
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newMargin,
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p.StrategyConf.Leverage,
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p.SymbolsSetting[symbol],
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)
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}
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quantity := utils.Float64ToString(qty)
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// cache key.
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CacheKey := fmt.Sprintf("%s_%s", row.Symbol, row.Side)
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// 网格计算
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NewProfitCell := profitRate / p.StrategyConf.DefCloseingGridPrice
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NewProfitCell = math.Ceil(NewProfitCell)
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log.Println("Dynamic", row.Symbol, row.Side, "Profit:", profit, "ProfitRate", profitRate, "NewProfitCell", NewProfitCell, "closeingProfitRate", closeingProfitRate)
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// 增持处理，持仓的利润达到设定的增持仓位百分比
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if p.StrategyConf.AddPositionOn && profitRate <= p.StrategyConf.AddThreshold && row.MarginSize < newMaxMargin {
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// 增持处理，持仓的利润达到设定的增持仓位百分比
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newAddThreshold := p.StrategyConf.AddThreshold
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if row.Volume > (qty * 1.95) {
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newAddThreshold = newAddThreshold * 2
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}
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if profitRate <= newAddThreshold {
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if !IsLock(symbol, "OPEN."+row.Side) {
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bn.AppendOrder(symbol, row.Side, quantity)
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SetLock(symbol, "OPEN."+row.Side, 5)
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continue
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}
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}
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}
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// 收益处理: 收益率没达到默认收益率，跳过
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// 以下是收益率》=默认收益率的逻辑的业务逻辑
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// 读取缓存
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lastProfitCell, exists := bn.LastUPL[CacheKey]
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if !exists {
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// 缓存处理: 缓存不存在
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// 收益处理: 收益率达到默认收益率
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if profitRate >= closeingProfitRate {
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log.Println("###", CacheKey, "profit", profit, "profitRate", profitRate, ">=", "closeingProfitRate", closeingProfitRate, "NewProfitCell", NewProfitCell)
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bn.LastUPL[CacheKey] = NewProfitCell
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}
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} else {
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log.Println("$$$", CacheKey, "profit", profit, "profitRate", profitRate, ">", "closeingProfitRate", closeingProfitRate, "NewProfitCell", NewProfitCell, "lastProfitCell", lastProfitCell)
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if profitRate >= closeingProfitRate {
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// 缓存处理: 存在缓存
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// 判断: NewProfitCell < lastProfitCell 当前最新网格值 < 缓存的上一次网格值
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if NewProfitCell < lastProfitCell {
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// 缓存的收益低于当前的CELL，则平仓。
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log.Println("~~~", CacheKey, "profit:", profit, "ProfitRate", profitRate, " > CloseProfitRate", closeingProfitRate, "LastProfitCell", lastProfitCell, "< NewProfitCell", NewProfitCell)
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// 平仓
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bn.CloseFuturesMarketOrder(symbol, "MARKET", utils.Float64ToString(row.Volume), futures.PositionSideType(row.Side))
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delete(bn.LastUPL, CacheKey)
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} else {
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// 高于上次盈利CELL，更新缓存
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log.Println("^^^ Up", CacheKey, "profit:", profit, "ProfitRate", profitRate, " > CloseProfitRate", closeingProfitRate, "ProfitCell", NewProfitCell)
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// 更新缓存
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bn.LastUPL[CacheKey] = NewProfitCell
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}
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}
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}
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}
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}
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func CreateSignal(identity, signalHex, orderId string) {
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impl.DBService.Create(&models.QuantSignal{
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Identity: identity,
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Md5Hex: signalHex,
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OrderId: orderId,
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})
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}
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